Linear quadratic stochastic integral games and related topics

DOI10.1007/s11425-015-5026-0zbMath1331.60125OpenAlexW863184074MaRDI QIDQ904652

Tian Xiao Wang, Yu-feng Shi

Publication date: 13 January 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-015-5026-0

zbMATH Keywords

saddle pointslinear quadratic optimal control problemsbackward stochastic Volterra integral equationsstochastic Fredholm-Volterra integral equationsstochastic integral games

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15) Stochastic integrals (60H05) Stochastic integral equations (60H20) Optimality conditions for problems involving relations other than differential equations (49K21) Volterra integral equations (45D99)

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